[Federal Register Volume 84, Number 112 (Tuesday, June 11, 2019)]
[Notices]
[Pages 27176-27178]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2019-12189]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-86036; File No. SR-ICC-2019-006]


Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of 
Filing and Immediate Effectiveness of Proposed Rule Change Relating to 
ICC's Risk Management Model Description

June 5, 2019.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(the ``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given 
that on May 23, 2019, ICE Clear Credit LLC (``ICC'') filed with the 
Securities and Exchange Commission the proposed rule change as 
described in Items I, II, and III below, which Items have been prepared 
primarily by ICC. The Commission is publishing this notice to solicit 
comments on the proposed rule change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Clearing Agency's Statement of the Terms of Substance of the 
Proposed Rule Change

    The principal purpose of the proposed rule change is to revise the 
ICC Risk Management Model Description. These revisions do not require 
any changes to the ICC Clearing Rules (``Rules'').

II. Clearing Agency's Statement of the Purpose of, and Statutory Basis 
for, the Proposed Rule Change

    In its filing with the Commission, ICC included statements 
concerning the purpose of and basis for the proposed rule change, 
security-based swap submission, or advance notice and discussed any 
comments it received on the proposed rule change, security-based swap 
submission, or advance notice. The text of these statements may be 
examined at the places specified in Item IV below. ICC has prepared 
summaries, set forth in sections (A), (B), and (C) below, of the most 
significant aspects of these statements.

(A) Clearing Agency's Statement of the Purpose of, and Statutory Basis 
for, the Proposed Rule Change

(a) Purpose
    ICC proposes to revise its Risk Management Model Description. 
Specifically, ICC proposes minor, clarifying changes to address 
comments received from an independent validation, as well as additional 
clean-up changes. The independent validator comments revolve around 
clarification updates that do not change ICC's current risk 
methodology. ICC believes that such revisions will facilitate the 
prompt and accurate clearance and settlement of securities transactions 
and derivative agreements, contracts, and transactions for which it is 
responsible. The proposed changes are described in detail as follows.
    ICC proposes minor changes to the `Initial Margin Methodology' 
section to maintain uniformity and provide additional clarity in the 
Risk Management Model Description. ICC proposes to update a symbol 
representing the portfolio level liquidity charge (``LC'') in an 
equation in the `Portfolio Level LC' sub-section to match the symbol 
used throughout the document to reference the portfolio level LC. 
Moreover, the Risk Management Model Description numbers key equations 
so they can be easily referenced. As such, ICC proposes to include a 
number corresponding to the equation for the portfolio level LC and to 
re-number the equations that follow accordingly. In the `Portfolio 
Level Concentration Charge' sub-section, ICC proposes to correct a 
typographical error when referencing the portfolio level concentration 
charge (``CC''); to update a symbol representing the portfolio level CC 
in an equation to match the symbol used throughout the document to 
reference the portfolio level CC; and to include a number corresponding 
to the equation for the portfolio level CC, re-numbering the equations 
that follow accordingly. Additionally, ICC proposes to update a symbol 
representing the portfolio level interest rate (``IR'') sensitivity 
requirement in an equation in the `IR Sensitivity Risk Analysis' sub-
section to match the symbol used throughout the document to refer to 
the portfolio level IR sensitivity requirement. ICC further proposes 
updates to the `Portfolio Loss Boundary Condition' sub-section to 
replace certain general references to sections with more specific 
references to equations in those sections to provide for additional 
clarity.
    ICC proposes to make such changes effective shortly after filing 
with the Commission, on or about May 31, 2019.
(b) Statutory Basis
    Section 17A(b)(3)(F) of the Act \3\ requires, among other things, 
that the rules of a clearing agency be designed to promote the prompt 
and accurate clearance and settlement of securities transactions, and 
to the extent applicable, derivative agreements, contracts and 
transactions; to assure the safeguarding of securities and funds which 
are in the custody or control of the clearing agency or for which it is 
responsible; and to comply with the provisions of the Act and the rules 
and regulations thereunder. ICC believes that the proposed rule change 
is consistent with the requirements of the Act and the rules and 
regulations thereunder applicable to ICC, in particular, to Section 
17(A)(b)(3)(F),\4\ because ICC believes that the proposed rule change 
will promote the prompt and accurate clearance and settlement of 
securities transactions, derivatives agreements, contracts, and 
transactions, and contribute to the safeguarding of securities and 
funds associated with security-based swap transactions in ICC's custody 
or control, or for which ICC is responsible. The proposed changes to 
the Risk Management Model Description to address independent validator 
comments provide additional clarity regarding ICC's risk methodology. 
The clean-up changes that enhance readability further ensure that the 
documentation of ICC's Risk Management Model Description remains up-to-
date, clear, and transparent. ICC believes that having policies and 
procedures that clearly and accurately document ICC's risk methodology 
and practices are an important component to the effectiveness of ICC's 
risk management system, which promotes the prompt and accurate 
clearance and settlement of securities transactions, derivatives 
agreements, contracts, and transactions and contributes to the 
safeguarding of securities and funds associated with security-based 
swap transactions in ICC's custody or control, or for which ICC is 
responsible. As such, the proposed rule change is designed to promote 
the prompt and

[[Page 27177]]

accurate clearance and settlement of securities transactions, 
derivatives agreements, contracts, and transactions and to contribute 
to the safeguarding of securities and funds associated with security-
based swap transactions in ICC's custody or control, or for which ICC 
is responsible within the meaning of Section 17A(b)(3)(F) of the 
Act.\5\
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    \3\ 15 U.S.C. 78q-1(b)(3)(F).
    \4\ Id.
    \5\ Id.
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    In addition, the proposed rule change is consistent with the 
relevant requirements of Rule 17Ad-22.\6\ Rule 17Ad-22(b)(2) \7\ 
requires ICC to establish, implement, maintain and enforce written 
policies and procedures reasonably designed to use margin requirements 
to limit its credit exposures to participants under normal market 
conditions and use risk-based models and parameters to set margin 
requirements and review such margin requirements and the related risk-
based models and parameters at least monthly. The proposed changes 
provide additional clarity regarding ICC's risk methodology, including 
the calculation of risk requirements, and maintain uniformity in the 
document such that ICC's Risk Management Model Description remains up-
to-date, clear, and transparent, thereby improving and promoting ICC's 
use of margin requirements to limit its credit exposures to 
participants under normal market conditions, consistent with the 
requirements of Rule 17Ad-22(b)(2).\8\
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    \6\ 17 CFR 240.17Ad-22.
    \7\ 17 CFR 240.17Ad-22(b)(2).
    \8\ Id.
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    Rule 17Ad-22(b)(3) \9\ requires ICC to establish, implement, 
maintain and enforce written policies and procedures reasonably 
designed to maintain sufficient financial resources to withstand, at a 
minimum, a default by the two Clearing Participant (``CP'') families to 
which it has the largest exposures in extreme but plausible market 
conditions. The proposed changes to the Risk Management Model 
Description provide further clarity and transparency regarding ICC's 
risk methodology and enhance ICC's approach to identifying potential 
weaknesses in the risk methodology, thereby ensuring that ICC maintains 
sufficient financial resources to withstand, at a minimum, a default by 
the two CP families to which it has the largest exposures in extreme 
but plausible market conditions, consistent with the requirements of 
Rule 17Ad-22(b)(3).\10\
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    \9\ 17 CFR 240.17Ad-22(b)(3).
    \10\ Id.
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    Rule 17Ad-22(d)(8) \11\ requires ICC to establish, implement, 
maintain and enforce written policies and procedures reasonably 
designed to have governance arrangements that are clear and transparent 
to fulfill the public interest requirements in Section 17A of the 
Act.\12\ ICC's Risk Management Model Description clearly assigns and 
documents responsibility and accountability for risk decisions and 
requires consultation with or approval from the ICC Board, committees, 
or management. Moreover, the proposed updates ensure that the document 
remains up-to-date and clear, such that ICC's governance of the 
document is clear, transparent, and carried out effectively. These 
governance arrangements thus continue to be clear and transparent so 
information relating to the assignment of responsibilities for risk 
decisions and the requisite involvement of the ICC Board, committees, 
and management is clearly documented, consistent with the requirements 
of Rule 17Ad-22(d)(8).\13\
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    \11\ 17 CFR 240.17Ad-22(d)(8).
    \12\ 15 U.S.C. 78q-1.
    \13\ 17 CFR 240.17Ad-22(d)(8).
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(B) Clearing Agency's Statement on Burden on Competition

    ICC does not believe the proposed rule changes would have any 
impact, or impose any burden, on competition. The proposed changes to 
ICC's Risk Management Model Description will apply uniformly across all 
market participants. Therefore, ICC does not believe the proposed rule 
changes impose any burden on competition that is inappropriate in 
furtherance of the purposes of the Act.

(C) Clearing Agency's Statement on Comments on the Proposed Rule Change 
Received From Members, Participants or Others

    Written comments relating to the proposed rule change have not been 
solicited or received. ICC will notify the Commission of any written 
comments received by ICC.
III. Date of Effectiveness of the Proposed Rule Changee and Timing for 
Commission Action
    The foregoing rule change has become effective pursuant to Section 
19(b)(3)(A) of the Act and paragraph (f) of Rule 19b-4 thereunder. At 
any time within 60 days of the filing of the proposed rule change, the 
Commission summarily may temporarily suspend such rule change if it 
appears to the Commission that such action is necessary or appropriate 
in the public interest, for the protection of investors, or otherwise 
in furtherance of the purposes of the Act.
IV. Solicitation of Comments
    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed rule 
change is consistent with the Act. Comments may be submitted by any of 
the following methods:

Electronic Comments

     Use the Commission's internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to [email protected]. Please include 
File Number SR-ICC-2019-006 on the subject line.

Paper Comments

    Send paper comments in triplicate to Secretary, Securities and 
Exchange Commission, 100 F Street NE, Washington, DC 20549.

All submissions should refer to File Number SR-ICC-2019-006. This file 
number should be included on the subject line if email is used. To help 
the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's internet website (http://www.sec.gov/rules/sro.shtml). 
Copies of the submission, all subsequent amendments, all written 
statements with respect to the proposed rule change that are filed with 
the Commission, and all written communications relating to the proposed 
rule change between the Commission and any person, other than those 
that may be withheld from the public in accordance with the provisions 
of 5 U.S.C. 552, will be available for website viewing and printing in 
the Commission's Public Reference Room, 100 F Street NE, Washington, DC 
20549, on official business days between the hours of 10:00 a.m. and 
3:00 p.m. Copies of such filings will also be available for inspection 
and copying at the principal office of ICE Clear Credit and on ICE 
Clear Credit's website at https://www.theice.com/clear-credit/regulation.
    All comments received will be posted without change. Persons 
submitting comments are cautioned that we do not redact or edit 
personal identifying information from comment submissions. You should 
submit only information that you wish to make available publicly. All 
submissions should refer to File Number SR-ICC-2019-006 and

[[Page 27178]]

should be submitted on or before July 2, 2019.
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    \14\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\14\
Eduardo A. Aleman,
Deputy Secretary.
[FR Doc. 2019-12189 Filed 6-10-19; 8:45 am]
BILLING CODE 8011-01-P